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Efficient solutions for discrete Asian options - MaRDI portal

Efficient solutions for discrete Asian options (Q2466717)

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Efficient solutions for discrete Asian options
scientific article

    Statements

    title
    Efficient solutions for discrete Asian options (English)
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    author
    Chueh-Yung Tsao
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    Chi-Tsung Huang
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    publication date
    16 January 2008
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    zbMATH Keywords
    discrete Asian option
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    control variate technique
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    closed-form solution
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    Taylor expansion
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    Identifiers

    zbMATH DE Number
    5227254
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    OpenAlex ID
    W2034016877
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